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Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation

Zhou, Yuxin; Garces, Len Patrick; Shen, Yang; Sherris, … - 2023

Continuous-time affine mortality models are useful in the analysis of age-cohort mortality rates as they yield a closed-form expression for survival curves which are consistent with the dynamics of latent factors driving mortality and are well-suited for finance and insurance applications. We...

Persistent link: https://www.econbiz.de/10014359402

Foreign exchange predictability during the financial crisis: Implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011460619

Copula-based vMEM specifications versus alternatives: The case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24

interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals …

Persistent link: https://www.econbiz.de/10011755372

Foreign exchange predictability during the financial crisis : implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015

Persistent link: https://www.econbiz.de/10011313235

Copula-based vMEM specifications versus alternatives : the case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals …

Persistent link: https://www.econbiz.de/10011654447

Analyzing Oil Futures with a Dynamic Nelson-Siegel Model

Hansen, Niels S.; Lunde, Asger - School of Economics and Management, University of Aarhus - 2013

distribution. Using copula decomposition we can set up a model for each factor individually along with a model for their dependence …

Persistent link: https://www.econbiz.de/10010851281

Forecasting extreme electricity spot prices

Korniichuk, Volodymyr - Cologne Graduate School in Management, Economics and … - 2012

extreme prices. We employ a copula with a changing dependence parameter for capturing serial dependence in the extreme prices …

Persistent link: https://www.econbiz.de/10010842853

Common factors in conditional distributions

Granger, Clive W.J.; Teräsvirta, Timo; Patton, Andrew J. - Economics Institute for Research (SIR), … - 2002

bivariate copula as the statistical tool. The definition of common factors in distributions is illustrated by an empirical …

Persistent link: https://www.econbiz.de/10005423846

Comparing the accuracy of multivariate density forecasts in selected regions of the copula support

Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 79-94

forecasts with different predictive copulas, focusing on specific parts of the copula support. The tests are framed in the … yields on government bonds of the G7 countries we obtain insights into why the Student-t and Clayton mixture copula … outperforms the other copulas considered; mixing in the Clayton copula with the t-copula is of particular importance to obtain …

Persistent link: https://www.econbiz.de/10011077509

Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance : Longitudinal Evidence from France

Dionne, Georges - 2012

The identification of information problems in different markets is challenging issue in the economic literature. In this paper, we study the identification of moral hazard from adverse selection and learning within the context of a multi-period dynamic model. We extend the model of Abbring et...

Persistent link: https://www.econbiz.de/10013115720